Total return swap valuation with counterparty risk and interest rate risk

DOI10.1155/2014/412890zbMath1406.91454OpenAlexW2084491725WikidataQ59037633 ScholiaQ59037633MaRDI QIDQ1724070

Anjiao Wang, Zhong-Xing Ye

Publication date: 14 February 2019

Published in: Abstract and Applied Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2014/412890

zbMATH Keywords

interest rate riskcounterparty riskcontagion modelstotal return swap

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

The total return swap pricing model under fuzzy random environments ⋮ The pricing of total return swap under default contagion models with jump-diffusion interest rate risk

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